Lloyd's Capital Structure Overview

LLOYD'S How does Lloyd's calculate and cover solvency? ■ Under Solvency II the Solvency Capital Requirement (SCR) must be calculated - Sufficient capital to cover a 1 in 200 year loss event for the entity over a one year time period Lloyd's calculates two SCRs SCR Scope of calculation Covers whole Lloyd's market Capital available to cover SCR Lloyd's Market Wide SCR (MWSCR) Lloyd's Central SCR (CSCR) Covers central risks only, in particular risk that members may not have enough capital to meet losses (and thus hit Central Fund) All capital held at Lloyd's including syndicate assets, member level capital and central capital Central capital - mainly the Central Fund Both the Lloyd's MWSCR and CSCR are calculated using Lloyd's Internal Model ■ Solvency also assessed at the member level Lloyd's 24 21

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